That our dreams exist on some shared dimension of consciousness or something of the sort that we could access.

Therefore
they don’t explain it for the same reason they don’t “explain” how ghosts exist in movies, we just kinda accept the idea because it’s based off a way (some) people already conceptualize our world.

Also giving it a nuts-and-bolts explanation would take away the charm of the thing

Tl;dr movie magic based on a popular idea some people believe in in the real world.